短期利率與資訊透明度的決定：銀行擠兌模型的應用

Deciding the Short-Run Interest Rate and Information Transparency: The Application of a Bank Run Model

金志婷(Chi-Ting Chin)

《經濟論文叢刊》 45卷4期 (2017/12) Pp. 547-577

https://doi.org/10.6277/TER.201712_45(4).0002

摘要

Goldstein and Pauzner（2005）強調降低短期利率可以減低擠兌的機率，導致擠兌可能發生下的最適短期利率低於完全排除擠兌時的最佳水準；假設銀行絕不倒閉的情況下，Selvaretnam（2006）發現訊息透明化的措施可削減擠兌發生的機率，盡可能地將訊息揭露得以極大化存戶的期望福利。本文討論於社會最適的情況下，政府應同時選擇短期利率與訊息的透明度，透過數值模擬分析，我們發現：最適的短期利率與訊息的透明度都與存戶厭惡風險的程度以及長期報酬的函數有關，在我們所模擬的各種情況下，最適短期利率沒有低於最佳短期利率的必要性，且透明化政策並不能夠提升存戶的期望福利。

關鍵字

全域賽局 ； 銀行擠兌 ； 訊息透明化

並列摘要

Goldstein and Pauzner (2005) emphasize that a decrease in the short-run interest rate can cut down the probability of a bank run, so that the optimal interest rate is lower than the first-best interest rate. Suppose that banks never close down, Selvaretnam (2006) finds that information transparency reduces the probability of a bank run, and thus exposing as much information as possible can maximize the expected utility of depositors. This paper expands the models of Goldstein and Pauzner (2005) and Selvaretnam (2006) to situations in which the government chooses the short-run interest rate and information transparency at the same time. We simulate the optimal short-run interest rate and the optimal information transparency, and find that they are related with the risk-averse degree of depositors and a function of the long-run return. In a variety of situations that we simulate, the optimal interest rate is not necessarily lower than the first-best interest rate and exposing information does not maximize the expected utility of depositors.

並列關鍵字

global game ； bank runs ； information transparency

參考文獻

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